Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0497
Annualized Std Dev 0.1045
Annualized Sharpe (Rf=0%) 0.4754

Row

Daily Return Statistics

Close
Observations 3103.0000
NAs 1.0000
Minimum -0.0670
Quartile 1 -0.0021
Median 0.0003
Arithmetic Mean 0.0002
Geometric Mean 0.0002
Quartile 3 0.0028
Maximum 0.0945
SE Mean 0.0001
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0004
Variance 0.0000
Stdev 0.0066
Skewness 1.3462
Kurtosis 44.6696

Downside Risk

Close
Semi Deviation 0.0046
Gain Deviation 0.0055
Loss Deviation 0.0054
Downside Deviation (MAR=210%) 0.0100
Downside Deviation (Rf=0%) 0.0045
Downside Deviation (0%) 0.0045
Maximum Drawdown 0.1690
Historical VaR (95%) -0.0080
Historical ES (95%) -0.0147
Modified VaR (95%) -0.0019
Modified ES (95%) -0.0019
From Trough To Depth Length To Trough Recovery
2020-02-18 2020-03-19 2020-07-29 -0.1690 114 23 91
2009-01-06 2009-03-09 2009-07-30 -0.1569 143 43 100
2008-11-25 2008-11-26 2008-12-08 -0.1027 9 2 7
2018-01-29 2018-12-24 2019-06-20 -0.0964 351 229 122
2015-04-28 2016-01-20 2016-09-06 -0.0929 344 185 159

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA -3 -1.7 -4.6
2009 -0.7 -0.5 0.4 1.4 1.4 0.4 0.4 -1 -0.9 -1.1 0.9 -0.4 0.3
2010 0.6 0.4 0.6 -0.7 -0.6 0 0.2 1.3 0.2 0.1 0.8 0.2 3
2011 0.5 -0.3 0.4 0.2 -0.6 0.6 0 -0.2 -0.6 -0.8 -0.3 0.1 -1.1
2012 0.3 0.2 0.2 0.2 -1.1 1 0 0.5 0.1 0.4 0.1 0.7 2.6
2013 0.2 0.3 -0.3 -0.4 -0.9 0.4 0.4 -0.2 0.4 -0.3 0 0 -0.4
2014 -0.4 -0.1 0.3 0.1 0.1 0.4 -0.1 0.1 -0.5 0.6 -0.5 -0.3 -0.2
2015 -0.6 0.2 0.3 0.1 -0.2 0 0.4 -1.5 0.1 0.1 0.6 -0.4 -0.8
2016 -0.1 0.8 -0.1 -0.1 -0.1 0.4 -0.3 0.2 0.3 -0.1 -0.2 0 0.6
2017 0.2 0.2 -0.2 0.2 0.1 0 0.3 0 0.3 0.2 0 -0.1 1.3
2018 -0.3 -0.5 0.6 -0.1 0.2 0.2 -0.3 -0.1 0.1 0.7 0.2 0.2 0.8
2019 -0.1 0.2 0.2 -0.2 -0.1 0.5 0 0.1 -0.5 0.6 -0.2 0.2 0.8
2020 -0.7 -0.1 -1.8 -1.2 0.4 0.3 0.1 0.1 0.3 -0.4 0.7 0 -2.1
2021 0.7 1.1 0.2 NA NA NA NA NA NA NA NA NA 2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-11-11  23.9 SPY    89.8 -0.0309  -0.106   -0.114    -0.302   -0.375   -0.266   -0.146 GLD    72.0 -0.0208  -0.0454
2 2008-11-13  24   SPY    91.2  0.0623   0.0034   0.0128   -0.300   -0.383   -0.263   -0.143 GLD    72.2  0.0307  -0.001 
3 2008-11-19  25.1 SPY    81.5 -0.0641  -0.0503  -0.150    -0.362   -0.436   -0.346   -0.215 GLD    72.3 -0.0034   0.0323
4 2008-11-20  23.4 SPY    75.4 -0.0742  -0.172   -0.168    -0.418   -0.468   -0.397   -0.280 GLD    73.4  0.0165   0.018 
5 2008-11-21  23.0 SPY    79.5  0.0539  -0.082   -0.133    -0.374   -0.448   -0.368   -0.234 GLD    78.8  0.0735   0.0757
6 2008-11-24  25.1 SPY    85.0  0.0693  -0.0051  -0.0231   -0.332   -0.397   -0.327   -0.184 GLD    80.9  0.0261   0.114 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart